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Wright-Phillips joined Manchester City at the age of 15. He made his debut as a substitute in the second leg of a League Cup against Burnley. His League debut came two months later at Port Vale. Playing a striker, his substitute appearance helped his team turn a 1–0 deficit into a 2–1 win.

City finished second in the First Division, resulting in promotion to the Premier League for 2000/01. Manchester City's stay in the Premier League was brief; at the end of the season they were relegated. The demotion brought about a change of manager, Kevin Keegan replacing Joe Royle.

Under Keegan Wright-Phillips firmly established himself in the first team, not as a forward, but as a wing-back. Keegan was known for playing attacking football, and decided to use the attacking Wright-Phillips in a traditionally defensive position due to his mobility and dribbling ability.

From 2000–2003 he won Manchester City's Young Player of the Year award a record four times in succession. On 17 July 2005, Wright-Phillips completed a move to Premier League champions Chelsea, returning to his native London. He joined the club on a five-year contract after agreeing to personal terms and passing a medical.

On 28 August 2008, he re-joined his former club Manchester City on a four year contract. Shaun equaled his entire goal scoring record at Chelsea just over a month after returning home.